IVLU vs. GMOI
IVLU (iShares MSCI Intl Value Factor ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - IVLU tracks the MSCI World ex USA Enhanced Value while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, IVLU returned 35.35% vs 36.69% for GMOI. With a 0.96 correlation, they move nearly in lockstep. IVLU charges 0.30%/yr vs 0.60%/yr for GMOI.
Performance
IVLU vs. GMOI - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with IVLU having a 12.64% return and GMOI slightly higher at 13.04%.
IVLU
- 1D
- -0.74%
- 1M
- 4.72%
- YTD
- 12.64%
- 6M
- 16.60%
- 1Y
- 35.35%
- 3Y*
- 24.56%
- 5Y*
- 14.01%
- 10Y*
- 10.97%
GMOI
- 1D
- -0.73%
- 1M
- 2.82%
- YTD
- 13.04%
- 6M
- 17.00%
- 1Y
- 36.69%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
IVLU vs. GMOI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
IVLU iShares MSCI Intl Value Factor ETF | 12.64% | 46.09% | -2.89% |
GMOI GMO International Value ETF | 13.04% | 45.64% | -4.57% |
Correlation
The correlation between IVLU and GMOI is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (All Time) Calculated using the full available price history since Oct 30, 2024 | 0.96 |
The correlation between IVLU and GMOI has been stable across timeframes, ranging from 0.96 to 0.96 - a consistent structural relationship.
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Return for Risk
IVLU vs. GMOI — Risk / Return Rank
IVLU
GMOI
IVLU vs. GMOI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and GMO International Value ETF (GMOI). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| IVLU | GMOI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.45 | ||
| Sortino ratioReturn per unit of downside risk | -0.64 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.50 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.04 | 4.41 | -1.37 |
| Martin ratioReturn relative to average drawdown | 11.57 | 17.44 | -5.87 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| IVLU | GMOI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.36 | 2.81 | -0.45 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.85 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.62 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 2.13 | -1.65 |
Drawdowns
IVLU vs. GMOI - Drawdown Comparison
The maximum IVLU drawdown since its inception was -41.85%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for IVLU and GMOI.
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Drawdown Indicators
| IVLU | GMOI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.85% | -14.67% | -27.18% |
Max Drawdown (1Y)Largest decline over 1 year | -11.69% | -8.36% | -3.33% |
Max Drawdown (3Y)Largest decline over 3 years | -15.48% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -26.04% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -41.85% | — | — |
Current DrawdownCurrent decline from peak | -0.81% | -0.99% | +0.18% |
Average DrawdownAverage peak-to-trough decline | -8.59% | -1.70% | -6.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.06% | 2.11% | +0.95% |
Volatility
IVLU vs. GMOI - Volatility Comparison
iShares MSCI Intl Value Factor ETF (IVLU) has a higher volatility of 4.63% compared to GMO International Value ETF (GMOI) at 3.93%. This indicates that IVLU's price experiences larger fluctuations and is considered to be riskier than GMOI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IVLU | GMOI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.63% | 3.93% | +0.70% |
Volatility (6M)Calculated over the trailing 6-month period | 12.20% | 10.28% | +1.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.09% | 13.16% | +1.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.48% | 15.59% | +0.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.66% | 15.59% | +2.07% |
IVLU vs. GMOI - Expense Ratio Comparison
IVLU has a 0.30% expense ratio, which is lower than GMOI's 0.60% expense ratio.
Dividends
IVLU vs. GMOI - Dividend Comparison
IVLU's dividend yield for the trailing twelve months is around 3.29%, more than GMOI's 2.42% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMOI GMO International Value ETF | 2.42% | 2.74% | 0.54% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IVLU iShares MSCI Intl Value Factor ETF | 3.29% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
Frequently Asked Questions
With a correlation of 0.96, IVLU and GMOI move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
IVLU has higher volatility (4.63%) compared to GMOI (3.93%). In terms of maximum drawdown, IVLU dropped -41.85% vs GMOI's -14.67%.
On 1-year performance, GMOI leads with 36.69% vs 35.35% for IVLU. On fees, IVLU is cheaper at 0.30% per year. On volatility, GMOI has been the lower-risk option at 3.93%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, GMOI has performed better with a 36.69% return vs 35.35%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IVLU is cheaper with a 0.30% expense ratio, compared with 0.60% for GMOI.
IVLU has the higher dividend yield at 3.29%, compared with 2.42% for GMOI.
IVLU tracks MSCI World ex USA Enhanced Value, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: iShares and GMO. Their fees differ too: 0.30% for IVLU and 0.60% for GMOI.
GMOI currently has the higher Sharpe Ratio (2.81 vs 2.36), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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